In recent years, much effort has been invested into developing multifunctional drug delivery systems to overcome the drawbacks of conventional carriers. Magnetic nanoparticles are not generally used as carriers but can be functionalised with several different biomolecules and their size can be tailored to present a hyperthermia response, allowing for the design of multifunctional systems which can be active in therapies. In this work, we have designed a drug carrier nanosystem based on Fe3O4 nanoparticles with large heating power and 4-amino-2-pentylselenoquinazoline as an attached drug that exhibits oxidative properties and high selectivity against a variety of cancer malignant cells. For this propose, two samples composed of homogeneous Fe3O4 nanoparticles (NPs) with different sizes, shapes, and magnetic properties have been synthesised and characterised. The surface modification of the prepared Fe3O4 nanoparticles has been developed using copolymers composed of poly(ethylene-alt-maleic anhydride), dodecylamine, polyethylene glycol and the drug 4-amino-2-pentylselenoquinazoline. The obtained nanosystems were properly characterised. Their in vitro efficacy in colon cancer cells and as magnetic hyperthermia inductors was analysed, thereby leaving the door open for their potential application as multimodal agents.